Numerical Contour Integral Methods for Free-Boundary Partial Differential Equations Arising in American Volatility Options Pricing

Table 8

Comparison results (option values, relative errors and CPU time).

	FDM				NCIM
	T/250	T/500	T/1000	T/2000	L=14
	value				value	RE (%)
4	1.94291	1.94363	1.94399	1.94418	1.93598	0.42177
5	1.63948	1.64031	1.64073	1.64095	1.62844	0.76236
6	1.40529	1.40617	1.40662	1.40684	1.39302	0.98234
CPU times (s)	431	582	1519		128	–